Optimal control with delayed information flow of systems driven by $G$-Brownian motion
Optimization and Control
2014-04-14 v3
Abstract
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the -framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.
Keywords
Cite
@article{arxiv.1402.3139,
title = {Optimal control with delayed information flow of systems driven by $G$-Brownian motion},
author = {Francesca Biagini and Thilo Meyer-Brandis and Bernt Øksendal and Krzysztof Paczka},
journal= {arXiv preprint arXiv:1402.3139},
year = {2014}
}